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Traders make money by providing liquidity to clients, but face flow uncertainties and therefore price risks. They can efficiently skew their prices, waiting for clients to de-risk (internalization) or trade with other traders on the open market to hedge their position and reduce inventory (externalization). Alexander Barzykin, Philippe Bergault and Olivier Guéant therefore propose an optimal control framework for market-making that takes into account both pricing and hedging
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